There is a very common question within the OpenBSD community, mostly from newcomers: "How can I install Steam on OpenBSD?".
The answer is: You can't, there is no way, this is impossible, period.
Steam is a closed source program, while it's now also available on Linux doesn't mean it run on OpenBSD. The Linux Steam version is compiled for linux and without the sources we can't port it on OpenBSD.
Even if Steam was able to be installed and could be launched, games are not made for OpenBSD and wouldn't work either.
On FreeBSD it may be possible to install Windows Steam using Wine, but Wine is not available on OpenBSD because it require some specific Kernel memory management we don't want to implement for security reasons (I don't have the whole story), but FreeBSD also has a Linux compatibility mode to run Linux binaries, allowing to use programs compiled for Linux. This linux emulation layer has been dropped in OpenBSD a few years ago because it was old and unmaintained, bringing more issues than helping.
So, you can't install Steam or use it on OpenBSD. If you need Steam, use a supported operating system.
I wanted to make an article about this in hope my text will be well referenced within search engines, to help people looking for Steam on OpenBSD by giving them a reliable answer.